Finance

UWMC Move Probability $1.12 +0.03 (+2.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
12.3%
Stock touched +5.0% ($1.18) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
6.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.06x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.0%
$1.08 — $1.16

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-35.2% to -32.0%: 1 occurrences (0.2%) -33.6% -32.0% to -28.8%: 0 occurrences (0.0%) -28.8% to -25.6%: 0 occurrences (0.0%) -25.6% to -22.3%: 0 occurrences (0.0%) -23.9% -22.3% to -19.1%: 0 occurrences (0.0%) -19.1% to -15.9%: 0 occurrences (0.0%) -15.9% to -12.6%: 2 occurrences (0.4%) -14.3% -12.6% to -9.4%: 3 occurrences (0.6%) -9.4% to -6.2%: 16 occurrences (3.1%) -6.2% to -3.0%: 68 occurrences (13.1%) -4.6% -3.0% to +0.3%: 210 occurrences (40.3%) +0.3% to +3.5%: 164 occurrences (31.5%) +3.5% to +6.7%: 39 occurrences (7.5%) 5.1% +6.7% to +10.0%: 13 occurrences (2.5%) +10.0% to +13.2%: 3 occurrences (0.6%) +13.2% to +16.4%: 2 occurrences (0.4%) 14.8%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 12.3% 6.0% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (-2.36) and kurtosis (26.78).
Standard Normal (Black-Scholes / GBM) 21.9% 11.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.2% 7.9% Filters for historical windows that started with volatility similar to current 20-day HV (151 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.1%
  • Recent 20-Day HV: 88.8%
  • Parkinson Intraday Volatility: 51.2%
  • Vol Trend: Expanded (+41% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +3.7%
  • Bottom 10% Move (10th percentile): -3.9%
  • Max Historical Gain (1d): +16.4%
  • Max Historical Loss (1d): -35.2%